Jun 17, 2009

Onto directional models..

mm.. ive come a long way since last year.. from market neutral research to directional stuff.

market neutral trading in India is very interesting.. my models have been performing quite well with compounded returns of over 30% on many instruments. the drawdowns at the portfolio level have been low.. now the research is focussed on reducing drawdown at the individual trade level. for this i intend to use some adaptive techniques. should be very interesting..

interactive brokers and ninjatrader provide a very easy interface to test trading ideas - you can focus more on the idea than the coding.. ive got someone working on testing my different ideas.. as and when something interseting comes up at the instrument level, im going to be testing out stuff at the portfolio level..

tick data research has also been very interesting.. esp interesting were days leading to market crashes and the days of the crash itself.. more on this later..

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